Price discovery and volatility spillover with price limits in Chinese A-shares market: a truncated GARCH approach

Adcock, C., Ye, C., Yin, S. et al. (1 more author) (2019) Price discovery and volatility spillover with price limits in Chinese A-shares market: a truncated GARCH approach. Journal of the Operational Research Society, 70 (10). pp. 1709-1719. ISSN 0160-5682

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Adcock, C.
  • Ye, C.
  • Yin, S.
  • Zhang, D.
Copyright, Publisher and Additional Information:

© 2019 Operational Research Society. This is an author-produced version of a paper accepted for publication in Journal of the Operational Research Society. Uploaded in accordance with the publisher's self-archiving policy.

Keywords: Price limits; delayed price discovery; volatility; spillover; truncated return distributions
Dates:
  • Published: 19 January 2019
  • Published (online): 19 January 2019
  • Accepted: 29 October 2018
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 13 Nov 2018 12:57
Last Modified: 17 May 2024 14:15
Status: Published
Publisher: Taylor & Francis
Refereed: Yes
Identification Number: 10.1080/01605682.2018.1542973
Open Archives Initiative ID (OAI ID):

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